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Testing for Localization Using Micro-Geographic Data

Duranton, Gilles; Overman, Henry G - C.E.P.R. Discussion Papers - 2002

to overall manufacturing, we develop distance-based tests of localization. In contrast to previous studies, our approach …% confidence level, (ii) localization takes place mostly at small scales below 50 kilometres, (iii) the degree of localization is … very skewed, and (iv) industries follow broad sectoral patterns with respect to localization. Depending on the industry …

Persistent link: https://www.econbiz.de/10005666724

Consumption and Credit Constraints: International evidence

Bacchetta, Philippe; Gerlach, Stefan - C.E.P.R. Discussion Papers - 1997

If some consumers are liquidity-constrained, aggregate consumption should be ‘excessively sensitive’ to credit conditions as well as to income. Moreover, the ‘excess sensitivity’ may vary over time. Using data for Canada, France, Japan, the United Kingdom and the United States, we find a...

Persistent link: https://www.econbiz.de/10005666583

Information Variables for Monetary Policy in a Small Structural Model of the Euro Area

Lippi, Francesco; Neri, Stefano - C.E.P.R. Discussion Papers - 2003

This Paper estimates a small New-Keynesian model with imperfect information and optimal discretionary policy using data for the euro area. The model is used to assess the usefulness of monetary aggregates and unit labour costs as information variables for monetary policy. The estimates reveal...

Persistent link: https://www.econbiz.de/10005666627

Time-series and Cross-section Information in Affine Term Structure Models

de Jong, Frank - C.E.P.R. Discussion Papers - 1999

In this paper we provide an empirical analysis of the term structure of interest rates using the affine class of term structure models introduced by Duffie and Kan. We estimate these models by combining time-series and cross-section information in a theoretically consistent way. In the...

Persistent link: https://www.econbiz.de/10005791389

Interpolation and Backdating with A Large Information Set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2004

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Persistent link: https://www.econbiz.de/10005791783

Monetary Magic? How the Fed Improved the Flexibility of the Economy

Bayoumi, Tamim; Sgherri, Silvia - C.E.P.R. Discussion Papers - 2004

Extending recent theoretical contributions on sources of inflation inertia, we argue that monetary policy uncertainty helps determine the sluggish adjustment of expectations to nominal disturbances. Estimating a model in which rational individuals learn over time about shifts in US monetary...

Persistent link: https://www.econbiz.de/10005792023

A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2007

This paper shows consistency of a two step estimator of the parameters of a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters are first estimated from an OLS on principal components. In the second step, the factors are estimated...

Persistent link: https://www.econbiz.de/10005123511

Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995

Estrin, Saul; Urga, Giovanni - C.E.P.R. Discussion Papers - 1997

In this paper we use unit roots/cointegration analysis and time-varying parameters procedures to test for a common growth path in the ex-communist block, both pre- and post-reform. We test whether there has been convergence within the block and between the block as a group and the West....

Persistent link: https://www.econbiz.de/10005123521

Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects

Monfort, Alain; Renne, Jean-Paul; Rüffer, Rasmus; … - C.E.P.R. Discussion Papers - 2003

This Paper analyses the co-movement in activity, measured by GDP and industrial production, between the G7 countries for the period 1972-2002. For that purpose, a dynamic factor model is estimated using Kalman Filtering techniques. In addition to separating common and country-specific -...

Persistent link: https://www.econbiz.de/10005123891

A Cross-Country Financial Accelerator: Evidence from North America and Europe

Mody, Ashoka; Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 2005

A growing literature has examined the importance of credit market imperfections for macroeconomic fluctuations, the so-called financial accelerator. A related literature has provided evidence of international and regional co-movements in macroeconomic fluctuations. We tie together these strands...

Persistent link: https://www.econbiz.de/10005124395